This chapter reviews the microeconometrics literature on partial identification, focusing on
the developments of the last thirty years. The topics presented illustrate that the available …

The study of copulas and their applications in statistics is a rather modern phenomenon.
Until quite recently, it was difficult to even locate the word “copula” in the statistical literature …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

Copula Methods in Finance is the first book to address the mathematics of copula functions
illustrated with finance applications. It explains copulas by means of applications to major …

Modern risk management calls for an understanding of stochastic dependence going
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …

The official history of copulas begins in 1959 with Sklar [1959]; but, as is often the case in
Mathematics, for groundbreaking results there are forerunners and precedents. These latter …

Although extremely flexible and obviously useful for many risk assessment problems, Monte
Carlo methods have four significant limitations that risk analysts should keep in mind.(1) Like …

The first comprehensive account of the theory of mass transportation problems and its
applications. In Volume I, the authors systematically develop the theory with emphasis on …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …